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Port DeepBSDE and DeepBSDEHan from NerualPDE #68

Merged
merged 33 commits into from
Jan 19, 2024
Merged

Port DeepBSDE and DeepBSDEHan from NerualPDE #68

merged 33 commits into from
Jan 19, 2024

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ashutosh-b-b
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  • Ports DeepBSDE and DeepBSDEHan from NeuralPDE
  • Updates tests and fix bugs. Make compatible with julia 1.9
  • Fix existing tests

Victor and others added 22 commits May 7, 2023 06:16
@ashutosh-b-b
added NNPDEND test file, overloading DiffEqBase.solve, added Abstract…
2d6243b 
…PDEProblem and abstract Sampling, still running into a bug with NNPDENS
@ashutosh-b-b
Add DiffEqSensitivity to deps
ec878da
@ashutosh-b-b
Add dependencies and test dependencies
66393da
@ashutosh-b-b
Complete NNPDEENS Integration
e4c1a9c
@ashutosh-b-b
Add NNPDEHan
c2e165d
@ashutosh-b-b
Add limits field to PIDESolution
3b50735
@ashutosh-b-b
Added documentation and tests, work in progress.
6e6512c
@ashutosh-b-b
beautify code
7517df3
@ashutosh-b-b
beautify code
1b3f3c3
@ashutosh-b-b
started documentation of DeepBSDE.jl
55ee6f1
@ashutosh-b-b
documenting DeepBSDE
c46139b
@ashutosh-b-b
added documentation for DeepBSDE.
0c21ba6
@ashutosh-b-b
Fixing MLP tests
0e42071
@ashutosh-b-b
Renamed AbstractSampling for clarity, fixed DeepSplitting with nosamping
79b06fc
@ashutosh-b-b
Fixing doc
387f550
@ashutosh-b-b
build: update Project.toml
a0e7a58
@ashutosh-b-b
fix: Add SciMLSensitivity, Tracker and fix bugs
c30cf75
@ashutosh-b-b
fix: fix errors with Tracker
bb2fa57
@ashutosh-b-b
fix: dispatch _reflect on AbstractArray instead of Array for GPU
03a7db1 
support
@ashutosh-b-b
fix: fix bug with DeepSplitting constructor
515d086
@ashutosh-b-b
test: fix tests
77c88d5
@ashutosh-b-b
docs: update docs to Flux.Optimise.Adam instead of Flux.ADAM
3da04e4
@ChrisRackauckas
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Do we still need TerminalPDEProblem when there's PIDEProblem? You're just giving a terminal condition and don't support the integral term, right?

@ashutosh-b-b
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Do we still need TerminalPDEProblem when there's PIDEProblem? You're just giving a terminal condition and don't support the integral term, right?

Yes, we can just use the PIDEProblem. fixed that in : 211c120

@ChrisRackauckas
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Resolve conflict and I think this is good.

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codecov bot commented Jan 18, 2024 •
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Codecov Report

Attention: 101 lines in your changes are missing coverage. Please review.

Comparison is base (ad2410d) 54.81% compared to head (b2ab323) 77.75%.

Files Patch % Lines
src/DeepBSDE_Han.jl 38.94% 58 Missing ⚠️
src/DeepBSDE.jl 56.32% 38 Missing ⚠️
src/HighDimPDE.jl 80.00% 5 Missing ⚠️
Additional details and impacted files 
@@             Coverage Diff             @@
##             main      #68       +/-   ##
===========================================
+ Coverage   54.81%   77.75%   +22.94%     
===========================================
  Files           6        7        +1     
  Lines         436      580      +144     
===========================================
+ Hits          239      451      +212     
+ Misses        197      129       -68

☔ View full report in Codecov by Sentry.
📢 Have feedback on the report? Share it here.

ChrisRackauckas
ChrisRackauckas reviewed Jan 18, 2024
View reviewed changes
Project.toml
@@ -28,4 +33,4 @@ Functors = "0.2, 0.3, 0.4"
Reexport = "1"
Statistics = "1"
Zygote = "0.6"
julia = "1.6,1.7"
julia = "1.8, 1.9"
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this should just be a lower bound. It can be bumped to v1.10

@ChrisRackauckas ChrisRackauckas merged commit b3e2651 into SciML:main Jan 19, 2024
4 of 6 checks passed
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@ArnoStrouwen can you do your pass on this library? The CI, version bounds, etc. need a full assessment here.

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@ashutosh-b-b @ChrisRackauckas